QuantLib_G2_FittingParameter man page

G2::FittingParameter — Analytical term-structure fitting parameter $ varphi(t) $.

Synopsis

#include <ql/models/shortrate/twofactormodels/g2.hpp>

Inherits TermStructureFittingParameter.

Public Member Functions

FittingParameter (const Handle< YieldTermStructure > &termStructure, Real a, Real sigma, Real b, Real eta, Real rho)

Additional Inherited Members

Detailed Description

Analytical term-structure fitting parameter $ varphi(t) $.

$ varphi(t) $ is analytically defined by [ varphi(t) = f(t) + ac{1}{2}(ac{sigma(1-e^{-at})}{a})^2 + ac{1}{2}(ac{\ta(1-e^{-bt})}{b})^2 + rhoac{sigma(1-e^{-at})}{a}ac{\ta(1-e^{-bt})}{b}, ] where $ f(t) $ is the instantaneous forward rate at $ t $.

Author

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Info

Fri Sep 23 2016 Version 1.8.1 QuantLib